MATH5076

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MATH 5076 - Mathematics of Options, Futures, and Derivative Securities II (4 Cr.)

School of Mathematics (11133) TIOT - College of Science and Engineering

Course description

This course explores continuous time finance, stochastic differential equations, geometric Brownian motion, Black-Scholes theory, volatility skew, numerical methods. Additional topics as time permits.

prereq: 5075

Minimum credits

4

Maximum credits

4

Is this course repeatable?

No

Grading basis

AFV - A-F or Audit

Lecture

Requirements

001186

Fulfills the writing intensive requirement?

No

Typically offered term(s)

Every Spring